Browsing Faculty of Graduate Studies Online Theses by Subject "Regime-switching, Mean-variance Analysis, Portfolio"
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A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS
(2012-08-29)In contrast to the studies of constant or time-varying correlations between stock and bond returns, in this thesis, I explore the regime-dependent correlations between stock and bond returns. Specifically, I start with a ...